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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/17763Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.creator | Pierdzioch, Christian | - |
| dc.date | 2004 | - |
| dc.date.accessioned | 2013-10-16T06:56:38Z | - |
| dc.date.available | 2013-10-16T06:56:38Z | - |
| dc.date.issued | 2013-10-16 | - |
| dc.identifier | http://hdl.handle.net/10419/17763 | - |
| dc.identifier | ppn:388195967 | - |
| dc.identifier.uri | http://koha.mediu.edu.my:8181/xmlui/handle/10419/17763 | - |
| dc.description | I use a time-varying parameter model in order to study the predictability of monthly real stock returns in Germany over the period 1880?1913. I find that the extent to which returns were predictable underwent significant changes over time. Specifically, predictability of returns, as measured by their first-order autocorrelation coefficient, was positive most of the time. It tended to be significant during extended periods of stock market decline, but not during periods of stock market increase. I argue that this timepattern of predictability of returns is consistent with feedback effects of futures trading on the spot market. | - |
| dc.language | eng | - |
| dc.publisher | Kiel Institute for the World Economy (IfW) Kiel | - |
| dc.relation | Kieler Arbeitspapiere 1213 | - |
| dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | - |
| dc.subject | G14 | - |
| dc.subject | N24 | - |
| dc.subject | ddc:330 | - |
| dc.subject | Stock market | - |
| dc.subject | Return Predictability | - |
| dc.subject | Germany | - |
| dc.subject | Börsenkurs | - |
| dc.subject | Kapitalertrag | - |
| dc.subject | Zeitreihenanalyse | - |
| dc.subject | Schätzung | - |
| dc.subject | Deutschland | - |
| dc.title | Feedback Trading and Predictability of Stock Returns in Germany, 1880?1913 | - |
| dc.type | doc-type:workingPaper | - |
| dc.coverage | 1880-1913 | - |
| Appears in Collections: | EconStor | |
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